Lifetime asymptotics of iterated Brownian motion in \mathbb{R}^{n}

Abstract: Let

a u_{D} (Z)

be the first exit time of iterated Brownian motion from a domain

D s u b s e t R R R^{n}

started at

z i n D

and let

P_{z} [a u_{D} (Z) > t]

be its distribution. In this paper we establish the exact asymptotics of

P_{z} [a u_{D} (Z) > t]

over bounded domains as an improvement of the results in cite{deblassie, nane2}, for

z i n D

�egin{eqnarray} lim_{t oinfty} t^{-1/2}exp({3/2}pi^{2/3}lambda_{D}^{2/3}t^{1/3}) P_{z}[ au_{D}(Z)>t]= C(z), onumber end{eqnarray} where

C (z) = (l a m b d a_{D} 2^{7 / 2}) / s q r t 3 p i (p s i (z) i n t_{D} p s i (y) d y)^{2}

. Here

l a m b d a_{D}

is the first eigenvalue of the Dirichlet Laplacian

1 / 2 D e l t a

in

D

, and

p s i

is the eigenfunction corresponding to

l a m b d a_{D}

. We also study lifetime asymptotics of Brownian-time Brownian motion (BTBM),

Z_{t}^{1} = z + X (| Y (t) |)

, where

X_{t}

and

Y_{t}

are independent one-dimensional Brownian motions.

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